An empirical analysis of the dynamic relationship between investment grade bonds and credit default swaps

By Roberto Blanco Escolar, Ian W. Marsh, S. Brennan. 2005

741 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/10b511ad350664f08b30057387869d20b990533e

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Citations in the corpus

Systemic Risk Contributions (2011, positive): “…are in the implied PD estimated from the CDS market: (1) the compensation for expected default losses; (2) the default risk premium for bearing 3See Blanco et al. (2005), Forte and Peña (2009), and Norden and Wagner (2008), among others. the default risk; and (3) other premium components, such as…”
Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis (2012, background): “…liquidity component in investment grade spreads pre-subprime is comparable in magnitude to the nondefault component found by subtracting the CDS premium from the corporate-swap spread (swap basis); see Longstaff, Mithal, and Neis (2005), Blanco, Brennan, and Marsh (2005), and Han and Zhou (2008).”
Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis (2009, background): “See Blanco et al. (2005), Forte and Peña (2009) and Norden and Wagner (2008), among others.”
Exploring the CDS-Bond Basis (2006, neutral): “27 Blanco et al. (2005) argue that the time of reversion to equilibrium provides grounds for the use of "long run" cointegration analysis on data sets that cover only a relatively small time period.”
Tepper School of Business 7-2008 Measuring Default Risk Premia from Default Swap Rates and EDFs (2007, background): “analysis of Blanco, Brennan, and Marsh (2005) , provided one measures bond spreads”
Does monetary policy affect bank risk (2014, methodology): “This measure, which accounts for the cost of buying credit-risk insurance subject to a certain credit event (usually a default), has been widely used as the barometer of financial health and an early indicator of credit risk (Blanco, Brennan, and Marsh 2005).”
The Granular Nature of Large Institutional Investors (2016, positive): “Additionally, recent empirical evidence suggest that CDS spreads are a superior and more timely measure of credit risk than the bond or stock market indicators, and that they lead the bond market in terms of price discovery (Jorion and Zhang 2007, Blanco, Brennan, and Marsh 2005, and Zhu 2006).”
Liquidity and Credit Default Swap Spreads (2007, positive): “While these results imply that CDS spreads reflect well the underlying credit risk, Blanco et al (2005), Hull et al (2004) and Zhu (2006) also document that the CDS market is more likely to lead the bond market in price discovery as CDS spreads are more responsive to new information.”
The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures (2012, positive): “…corporate bonds and credit default swaps: one can approximately create a bond with no default risk by buying a corporate bond and insuring against default by buying protection through a credit default swap (Duffie (1999), Longstaff, Mithal, and Neis (2005), and Blanco, Brennan, and Marsh (2005)).”
Credit Spreads: An Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS (2009, methodology): “Blanco et al. (2005), for instance, considered a Vector Error Correction Model (VECM) for explaining changes in bond and CDS spreads.”
Systemic Risk Measures: The Simpler the Better? (2013, background): “Furthermore, the empirical evidence suggests that the CDS market leads the credit rating agencies (Hull, Predescu and White, 2004) and the bond market (Blanco, Brennan, and Marsh, 2005).”
Liquidity Risk Premia in Corporate Bond Markets (2012, positive): “The same conclusion is reached in recent work that compares spreads on credit default swaps (CDS) to corporate bond spreads (Blanco et al., 2005; Longsta® et al., 2005).”